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Mathematics

D-Index
62
Citations
15595
World Ranking
476
National Ranking
247

Overview

Lajos Horváth is affiliated with the University of Utah in the United States. Their research primarily spans fields related to economics, econometrics, finance, and mathematics, with a notable focus on statistical methods and applications in financial and economic contexts.

Their research covers a broad range of topics including:

  • Financial Risk and Volatility Modeling
  • Statistical Methods and Inference
  • Market Dynamics and Volatility
  • Monetary Policy and Economic Impact
  • Complex Systems and Time Series Analysis
  • Housing Market and Economics
  • Stochastic Processes and Financial Applications

The main fields of publication for Horváth are:

  • Economics, Econometrics and Finance
  • Mathematics

Within subfields, the research work includes:

  • Statistics and Probability
  • Finance
  • Economics and Econometrics
  • General Economics, Econometrics and Finance
  • Artificial Intelligence

Frequent publication venues where Horváth's work appears include:

  • arXiv (Cornell University)
  • Journal of Business and Economic Statistics
  • SSRN Electronic Journal
  • Journal of Multivariate Analysis
  • Journal of Time Series Analysis

Several recent papers illustrate Horváth's research agenda:

  • Monitoring for a Change Point in a Sequence of Distributions, 2021, The Annals of Statistics
  • Change Point Analysis of Covariance Functions: A Weighted Cumulative Sum Approach, 2021, Journal of Multivariate Analysis
  • Sequential Monitoring of Changes in Dynamic Linear Models, Applied to the U.S. Housing Market, 2021, Econometric Theory
  • How to Identify the Different Phases of Stock Market Bubbles Statistically?, 2021, Finance Research Letters

Other recent work by coauthors in related areas includes a 2020 paper titled Tests of Normality of Functional Data published in International Statistical Review.

Horváth has collaborated frequently with several researchers, including:

  • Gregory Rice
  • Lorenzo Trapani
  • Shixuan Wang
  • Zhenya Liu
  • Piotr Kokoszka

In addition to journal articles, Horváth has published a book titled Change Point Analysis for Time Series in 2024 with Springer Science+Business Media, which has been cited in related academic work.

Best Publications

  • Limit theorems in change-point analysis

    M. Csörgö;Lajos Horváth

  • Inference for Functional Data with Applications

    Lajos Horváth;Piotr Kokoszka

  • Structural breaks in time series

    Alexander Aue;Lajos Horváth

  • Break detection in the covariance structure of multivariate time series models

    Alexander Aue;Siegfried Hörmann;Lajos Horváth;Matthew Reimherr

  • Weighted Approximations in Probability and Statistics

    Lajos Horváth;M. Csörgö

  • Invasion by extremes: population spread with variation in dispersal and reproduction.

    James S. Clark;Mark A. Lewis;Lajos Horvath

  • Weighted Empirical and Quantile Processes

    Miklos Csorgo;Sandor Csorgo;Lajos Horvath;David M. Mason

  • Monitoring changes in linear models

    Lajos Horváth;Marie Hušková;Piotr Kokoszka;Josef Steinebach

  • Testing stationarity of functional time series

    Lajos Horváth;Piotr Kokoszka;Gregory Rice

  • The efficiency of the estimators of the parameters in GARCH processes

    István Berkes;Lajos Horváth

  • The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations

    Lajos Horvath

  • Detecting changes in the mean of functional observations

    István Berkes;Robertas Gabrys;Lajos Horváth;Piotr Kokoszka

  • Estimation of the mean of functional time series and a two-sample problem

    Lajos Horváth;Piotr Kokoszka;Ron Reeder

  • Change-point detection in panel data

    Lajos Horváth;Marie Hušková

  • On discriminating between long-range dependence and changes in mean

    István Berkes;Lajos Horváth;Piotr Kokoszka;Qi-Man Shao

  • SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

    István Berkes;Edit Gombay;Lajos Horváth;Piotr Kokoszka

  • Strong Approximations of Some Biometric Estimates under Random Censorship

    Murray D. Burke;Sándor Csörgő;Lajos Horváth

  • The rate of strong uniform consistency for the product-limit estimator

    Sándor CsörgŐ;Lajos Horváth

  • Extensions of some classical methods in change point analysis

    Lajos Horváth;Gregory Rice

  • 20 Nonparametric methods for changepoint problems

    Miklós Csörgő;Lajos Horváth

Frequent Co-Authors

Piotr Kokoszka
Piotr Kokoszka Colorado State University
Qi-Man Shao
Qi-Man Shao Chinese University of Hong Kong
Jean-Michel Zakoian
Jean-Michel Zakoian École Nationale de la Statistique et de l'Administration Économique
Ričardas Zitikis
Ričardas Zitikis University of Western Ontario
Brian S. Yandell
Brian S. Yandell University of Wisconsin–Madison
Paul Deheuvels
Paul Deheuvels Sorbonne University
Shiqing Ling
Shiqing Ling Hong Kong University of Science and Technology
Davar Khoshnevisan
Davar Khoshnevisan University of Utah
David M. Mason
David M. Mason University of Delaware
Jan Beirlant
Jan Beirlant KU Leuven

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